Summary
This paper focuses on two characteristics of the stock price indices trend slope changes and heteroscedasticity. To capture these characteristics, we propose a stochastic trend model with Markov switching slope changes and ARCH (MS-SC/ARCH), and evaluate the usefulness of this model for a trading strategy. In the empirical analysis using TOPIX, we succeeded in estimating the effective trend slope for trading by using a trading strategy based on the MS-SC/ARCH model.
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References
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© 2004 Springer Japan
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Hakamata, M. (2004). Trend identification and financial trading strategy by using stochastic trend model with Markov switching slope change and ARCH. In: Takayasu, H. (eds) The Application of Econophysics. Springer, Tokyo. https://doi.org/10.1007/978-4-431-53947-6_19
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DOI: https://doi.org/10.1007/978-4-431-53947-6_19
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-67961-5
Online ISBN: 978-4-431-53947-6
eBook Packages: Springer Book Archive